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Handbook of Risk Management in Energy Production and Trading pp 353–383Cite as

Investment in Stochastic Electricity-Production Facilities

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Part of the book series: International Series in Operations Research & Management Science ((ISOR,volume 199))

Abstract

This chapter considers a profit-oriented private investor interested in building stochastic electricity-production facilities, such as solar and wind power plants. This investor sells its production in a competitive pool-based electricity market and faces uncertainties related to demand growth, its production level, and its investment cost. Adopting a multistage approach, a stochastic complementarity model is formulated to determine the optimal capacity to be built by the investor to maximize its expected profit while minimizing its profit volatility. An example considering a wind power investor is presented to illustrate the working of the proposed model.

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Author information

Authors and Affiliations

  1. University of Castilla-La Mancha, Ciudad Real, Spain

    Luis Baringo & Antonio J. Conejo

Authors
  1. Luis Baringo
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  2. Antonio J. Conejo
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Corresponding author

Correspondence to Antonio J. Conejo .

Editor information

Editors and Affiliations

  1. Department of Statistics & OR, University of Vienna, Wien, Austria

    Raimund M. Kovacevic

  2. Department of Statistics & OR, University of Vienna, Wien, Austria

    Georg Ch. Pflug

  3. Department of IT & Mathematical Methods, University of Bergamo, Dalmine, Bergamo, Italy

    Maria Teresa Vespucci

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Baringo, L., Conejo, A.J. (2013). Investment in Stochastic Electricity-Production Facilities. In: Kovacevic, R., Pflug, G., Vespucci, M. (eds) Handbook of Risk Management in Energy Production and Trading. International Series in Operations Research & Management Science, vol 199. Springer, Boston, MA. https://doi.org/10.1007/978-1-4614-9035-7_14

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